Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method
In this paper we propose a new estimator of the proportional hazard premium for heavy-tailed claim amounts, with a help of the peak-over-threshold (POT) method. We establish the asymptotic normality of the new estimator, and its performance is illustrated in a simulation study. Moreover, we compare...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2012-11-01
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| Series: | Revstat Statistical Journal |
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| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/123 |
| _version_ | 1817998342320291840 |
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| author | Rassoul Abdelaziz |
| author_facet | Rassoul Abdelaziz |
| author_sort | Rassoul Abdelaziz |
| collection | DOAJ |
| description |
In this paper we propose a new estimator of the proportional hazard premium for heavy-tailed claim amounts, with a help of the peak-over-threshold (POT) method. We establish the asymptotic normality of the new estimator, and its performance is illustrated in a simulation study. Moreover, we compare, in terms of bias and mean squared error, our estimator with the estimator of Necir and Meraghni (2009).
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| first_indexed | 2024-04-14T02:51:47Z |
| format | Article |
| id | doaj.art-b798e7ef564d42c7a61f0c6dbbb0ce3f |
| institution | Directory Open Access Journal |
| issn | 1645-6726 2183-0371 |
| language | English |
| last_indexed | 2024-04-14T02:51:47Z |
| publishDate | 2012-11-01 |
| publisher | Instituto Nacional de Estatística | Statistics Portugal |
| record_format | Article |
| series | Revstat Statistical Journal |
| spelling | doaj.art-b798e7ef564d42c7a61f0c6dbbb0ce3f2022-12-22T02:16:16ZengInstituto Nacional de Estatística | Statistics PortugalRevstat Statistical Journal1645-67262183-03712012-11-0110310.57805/revstat.v10i3.123Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot MethodRassoul Abdelaziz 0National High School of Hydraulic In this paper we propose a new estimator of the proportional hazard premium for heavy-tailed claim amounts, with a help of the peak-over-threshold (POT) method. We establish the asymptotic normality of the new estimator, and its performance is illustrated in a simulation study. Moreover, we compare, in terms of bias and mean squared error, our estimator with the estimator of Necir and Meraghni (2009). https://revstat.ine.pt/index.php/REVSTAT/article/view/123distortion risk measuresproportional hazard premiumextreme valuesGPD functionheavy tailsPOT method |
| spellingShingle | Rassoul Abdelaziz Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method Revstat Statistical Journal distortion risk measures proportional hazard premium extreme values GPD function heavy tails POT method |
| title | Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method |
| title_full | Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method |
| title_fullStr | Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method |
| title_full_unstemmed | Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method |
| title_short | Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method |
| title_sort | estimating of the proportional hazard premium for heavy tailed claim amounts with the pot method |
| topic | distortion risk measures proportional hazard premium extreme values GPD function heavy tails POT method |
| url | https://revstat.ine.pt/index.php/REVSTAT/article/view/123 |
| work_keys_str_mv | AT rassoulabdelaziz estimatingoftheproportionalhazardpremiumforheavytailedclaimamountswiththepotmethod |